Open in evews the CW2 data 2 excel file.This is a data set we have been using previously.Your aim is to estimate a model to explain the average or expected value of porfolio (log returns already provided) using a dynamic GARCH in errors model,with size,value, and market as your explanatort variables and to indentify if the elasticity of portfolio to market different in the period between January 2000 and December 2005 with respect to the rest of the sample period.You conclude that

Hint: you need to generate a dummy to capture this difference in the intercept (use the dummy support slides posted in this section)